October Volumes in Interest Rate Swaps

Now that all October data is in, I wanted to update my blog of Oct21, Record Volumes on SEFs in September and October.



Lets start with a chart from SDRView Res.


Which shows that as we expected October volumes are higher with greater than $1.55 trillion versus $1.46 trillion in September. The increase is not as large as we expected on Oct 21 and looking at the same volumes by week shows why.


The last two weeks in October were lower than any September weeks, so these offset the much higher volumes in the weeks of October 6 and October 13. Either-way October 2014, one year after the start of SEFs is the highest volume month we have seen for USD Swaps.


DV01 Metric

At this point a slight digression to introduce a different metric to gross notional, namely DV01. We have just added this in SDRView Res, currently for USD Swaps only from 1-Sep-2014 onwards. So the same weeks but now showing DV01:


Which shows that:

  • The week of Oct 13 had the highest DV01 of > $219 million
  • This was higher than the week of Oct 6 and Sep 8.

DV01 is a better measure than gross notional as it gives a truer indication of the amount of risk transacted.

Drill-down on any of these bars, shows the trade level DV01 numbers.


If you have read any of Chris’s Blogs on Swap Spreads and Butterflies, you will know that the trades we see are the individual legs of these packages and would have DV01 in opposite direction to make the package DV01 equal zero. As such the gross DV01 number we have overstates the directional risk traded each day, in much the same way as the gross notional overstates the directional notional. Despite this the gross DV01 metric is a useful one and we will continue to refine the metric.



Lets now look at Off SEF USD Swaps for the same period.


Again we see that October was a record month with > $1.65 trillion traded.

Lets compare On SEF and Off SEF for October, this time in DV01 terms.


Which shows that 58% is On SEF Cleared and the remaining 42% Off SEF Cleared or UnCleared.


SEF Market Share

Using SEFView lets look at October Volumes for G4 Currencies for Vanilla IRS, OIS Swaps, Inflation Swaps and FRAs, in 5Y Swap Equivalent terms.


Which shows:

  • EUR Volumes are led by Bloomberg
  • ICAP and TP follow, with majority of their volumes from FRA Match activity
  • GBP Volumes are also led by Bloomberg
  • IGDL, Tradition and Tradeweb follow
  • JPY Volumes are led by Tradition
  • ICAP follows
  • USD Volumes are led by Bloomberg
  • Combining TW & DW, puts Thomson Reuters neck and neck with Bloomberg
  • IGDL/ICAP is next, then Tradition and Tullets

Lots of other interesting numbers to look at, but will leave that to you to do yourself.



October 2014 is the highest volume month since SEF inception.

Greater than $1.55 trillion of USD Swaps traded ON SEF.

Gross DV01 is a new metric we have introduced in SDRView Res and gives a better indication of risk traded. It suffers from the same deficiency for package trades as gross notional, so we will seek to refine the calculation.

SEF Market Share in G4 Rates (Vanilla Swaps, OIS Swaps, Inflation Swaps and FRAs) shows Bloomberg and Thomson Reuters as neck and neck at the top.

IGDL/ICAP, Tradition and Tullets are in the next three spots.


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